Preheat air fryer to 350°F. Lightly brush the basket with a little melted butter.
Beat cream cheese, sugar, lemon zest, and cinnamon until smooth and fluffy.
Separate biscuits and press each into a 4-inch round on a board.
Spoon a tablespoon of cream cheese filling in the center. Top with blueberry filling.
Pull dough up and over the filling and pinch well to seal. Place seam-side down.
Brush tops with remaining melted butter.
Air fry in a single layer for 8–10 minutes, turning halfway, until deeply golden.
Rest 5 minutes. Whisk powdered sugar, milk, and vanilla. Drizzle over warm bombs and serve.